实现策略核心交易逻辑

main_controller.py

@@ -1,12 +1,15 @@
 # coding:utf-8
+from os import popen
 import time, sys
+
+from peewee import ModelSelect
 sys.stdout.reconfigure(encoding='utf-8')  # 设置标准输出编码为UTF-8
 import strategy_db
 import sfgrid_constants
 from sfgrid_trade_controller import StockTradeController
 from util import getInstrumentName, getStockPosition
 from xtquant.xttrader import XtQuantTrader
-from xtquant.xttype import StockAccount, XtOrder
+from xtquant.xttype import StockAccount, XtOrder, XtTrade
 from xtquant import xtdata
 from xtquant.xttrader import XtQuantTraderCallback
 import datetime
@@ -51,7 +54,9 @@ class SFGridController(XtQuantTraderCallback):
                 grid_index=0,
                 last_trade_price=0.0,
                 current_buy_price=0.0,
-                current_sell_price=0.0
+                current_buy_order_no='',
+                current_sell_price=0.0,
+                current_sell_order_no=''
             )
             new_target.save()
             print(f'新增交易标的 {stock_code} {stock_name}, {new_target.id}')
@@ -59,7 +64,7 @@ class SFGridController(XtQuantTraderCallback):
             pos = getStockPosition(stock_code, self.xt_trader, self.account)
             strategy_db.TradeTarget.update(current_position=pos).where(strategy_db.TradeTarget.stock_code == stock_code).execute()
             # 更新标的池
-            self.instrument_pool = strategy_db.TradeTarget.select()
+            self.refresh_targets()
             # 添加交易控制器
             stockTradeController = StockTradeController(new_target, self.xt_trader, self.account, new_target.enabled)
             self.stock_trade_ctrl[stock_code] = stockTradeController
@@ -67,6 +72,14 @@ class SFGridController(XtQuantTraderCallback):
         except Exception as e:
             print(f'新增交易标的失败 {stock_code} {e}')
         
+    
+    def del_trade_target(self, index:int):
+        target: strategy_db.TradeTarget = self.instrument_pool[index]
+        # self.stock_trade_ctrl.
+        del self.stock_trade_ctrl[target.stock_code]
+        target.delete_instance()
+        self.refresh_targets()
+    
     def init_trader(self, path):
         session_id = int(time.time())
         self.xt_trader = XtQuantTrader(path, session_id)
@@ -79,14 +92,20 @@ class SFGridController(XtQuantTraderCallback):
         self.account= StockAccount(account_id, account_type)
         print(f'- 交易账号对象初始化完成, 账号: {self.account.account_id}')
 
+
     def init_instrument_pool(self):
-        self.instrument_pool = strategy_db.TradeTarget.select()
+        self.refresh_targets()
 
         for tradeTarget in self.instrument_pool:
             stockTradeController = StockTradeController(tradeTarget, self.xt_trader, self.account, tradeTarget.enabled)
             self.stock_trade_ctrl[tradeTarget.stock_code] = stockTradeController
 
         print(f'- 初始化标的池初始化完成 , 共 {len(self.instrument_pool)} 个标的')
+
+
+    def refresh_targets(self):
+            # 更新标的池
+        self.instrument_pool:ModelSelect = strategy_db.TradeTarget.select()
         self.print_pool()
 
     def print_pool(self):
@@ -170,14 +189,21 @@ class SFGridController(XtQuantTraderCallback):
     # ====== 市场回调方法 -- 以下方法由XtQuantData调用 ======
     def onDataUpdate(self, data):
         # 遍历股池
+        # for stock_code, data in data.items():
+        #     if data['lastPrice'] == 10.0:
+        #         print(f'target = {stock_code} - {getInstrumentName(stock_code)} {data['lastPrice']}')
+        #         self.add_trade_target(stock_code)
+        #         self.stock_trade_ctrl[stock_code].enabledTrading(True)
+
+
+            # if stock_code not in self.stock_trade_ctrl:
+            #     self.add_trade_target(stock_code)
+            # self.stock_trade_ctrl[stock_code].onDataUpdate(data)
         for target in self.instrument_pool:
             stock_code = target.stock_code
             # 如果存在对应的StockTradeController，则调用其onDataUpdate方法
-            if stock_code not in self.stock_trade_ctrl:
+            if stock_code not in self.stock_trade_ctrl or stock_code not in data:
-                print(f"股票代码 {stock_code} 未在交易控制器中找到，跳过处理。\n")
+                # print(f"股票代码 {stock_code} 未在交易控制器中找到，跳过处理。\n")
-                continue
-            if stock_code not in data:
-                print(f"股票代码 {stock_code} 未在行情数据中找到，跳过处理。\n")
                 continue
             stock_controller: StockTradeController = self.stock_trade_ctrl[stock_code]
             stock_controller.onDataUpdate(data)
@@ -205,11 +231,12 @@ class SFGridController(XtQuantTraderCallback):
         """
         stockCode = order.stock_code
         # 如果存在对应的StockTradeController，则调用其onDataUpdate方法
-        if stockCode not in self.stock_trade_ctrl:
+        if stockCode in self.stock_trade_ctrl:
-            self.stock_trade_ctrl[stockCode].onOrderUpdate(order)
+            ctrl:StockTradeController = self.stock_trade_ctrl[stockCode]
+            ctrl.onOrderUpdate(order)
         print(datetime.datetime.now(), '委托回调 投资备注', order.order_remark)
 
-    def on_stock_trade(self, trade):
+    def on_stock_trade(self, trade:XtTrade):
         """
         成交变动推送
         :param trade: XtTrade对象

sfgrid_constants.py

@@ -1,4 +1,8 @@
-miniQMTPath = r'D:\\Programs\\DTQMT\\userdata_mini' # miniQMT软件的安装路径
+miniQMTPath = r'D:\\Programs\\DTQMT_MN\\userdata_mini' # miniQMT软件的安装路径
-grid_price = [11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1] # 网格价格设置，从高到低
+# D:\Programs\DTQMT_MN\userdata_mini
+# grid_price = [11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1] # 网格价格设置，从高到低
+grid_price = [10.1, 10.00, 9.9, 9.8, 9.7, 9.6, 9.5, 9.4, 9.3, 9.2, 9.1] # 网格价格设置，从高到低
 grid_volume = 100 # 每个网格的交易手数
-account_no = '99082560' # 交易账号
+# account_no = '99082560'
+account_no = '89009170' # 交易账号
+max_enabled_targets = 10

sfgrid_trade_controller.py

@@ -3,7 +3,7 @@ import strategy_db
 from util import getInstrumentName, getStockPosition
 
 from xtquant import xttrader, xtdata, xtconstant
-from xtquant.xttype import StockAccount, XtOrder
+from xtquant.xttype import StockAccount, XtOrder, XtTrade
 import sfgrid_constants
 
 
@@ -14,7 +14,6 @@ class StockTradeController:
         self.xt_trader = xt_trader
         self.account = account
         self.currentPosition = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
-        self.tradeRecords = strategy_db.TradeRecord.select().where(strategy_db.TradeRecord.stock_code == self.tradeTarget.stock_code).order_by(strategy_db.TradeRecord.trade_time.desc())
 
 
     def enabledTrading(self, enabled: bool):
@@ -28,14 +27,7 @@ class StockTradeController:
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单准备中...\n")
                 self.tradeTarget.grid_index = 1
                 self.tradeTarget.save()
-                self.initBuyOrderId = self.xt_trader.order_stock(
+                self.init_stock_position()
-                    self.account, 
-                    self.tradeTarget.stock_code, 
-                    xtconstant.STOCK_BUY, 
-                    sfgrid_constants.grid_volume,
-                    xtconstant.FIX_PRICE,
-                    sfgrid_constants.grid_price[self.tradeTarget.grid_index], 
-                    'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
             else:
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 已有仓位或非初始状态 无需建初始仓 当前仓位: {self.tradeTarget.current_position} 状态: {self.tradeTarget.status}\n")
@@ -46,21 +38,91 @@ class StockTradeController:
 
     def onDataUpdate(self, data):
         if self.isEnabled():
-            print(f"标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}\n")
+            print(f"\n标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}")
 
-    def onOrderUpdate(self, order:XtOrder):
+    def onOrderTrade(self, trade:XtTrade):
-        pass
+        indicator = False
+        if trade.order_id == self.initBuyOrderId and self.tradeTarget.status == 0:
+            # 此时为建仓成交
+            self.tradeTarget.current_position += sfgrid_constants.grid_volume # 当前持仓数，账户原有持仓不在策略范围内
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index = 1
+            self.tradeTarget.status = 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 \n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        elif trade.order_id == self.sellOrderId and self.tradeTarget.status == 1:
+            # 上涨一格：此时空单成交
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            self.tradeTarget.current_position = -sfgrid_constants.grid_volume
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index += 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        elif trade.order_id == self.buyOrderId and self.tradeTarget.status == 1:
+            # 下跌一格：此时多单成交
+            self.tradeTarget.current_position = +sfgrid_constants.grid_volume
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index -= 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 下跌 买单已成交 订单ID: {self.buyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        else:
+            # 打印订单信息和订单状态
+            print(f'非策略内部订单，或订单状态不满足监控条件 {trade.order_id} {trade.stock_code}-{trade.instrument_name} {trade.commission}')
 
-    # Description: 程序启动后
+        if indicator and self.isEnabled():
-    def check_stock_position(self):
+            self.two_way_order() # 双向下单
-        volume = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
-        pass
 
 
     # Description: 新标的，建基础仓
     def init_stock_position(self):
-        pass
+        self.initBuyOrderId = self.xt_trader.order_stock(
+            self.account, 
+            self.tradeTarget.stock_code, 
+            xtconstant.STOCK_BUY, 
+            sfgrid_constants.grid_volume,
+            xtconstant.FIX_PRICE,
+            sfgrid_constants.grid_price[self.tradeTarget.grid_index], 
+            'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
+        print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
 
-    # Description: 双向下单
+
+    # Description: 网格跳格，双向下单
     def two_way_order(self):
-        pass
+        if self.tradeTarget.grid_index+1 < len(sfgrid_constants.grid_price): # 价格没有超过网格下边界，可以下多单
+            currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
+            buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
+            self.buyOrderId = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        xtconstant.STOCK_BUY, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        buyPrice, 
+                        'sf_grid', f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
+            self.tradeTarget.current_buy_price = buyPrice
+        
+        if self.tradeTarget.grid_index-1 >=0: # 价格没有超过网格上边界，可以下空单
+            currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
+            sellPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index-1]
+            self.sellOrderId = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        xtconstant.STOCK_SELL, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        sellPrice, 
+                        'sf_grid', f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
+            self.tradeTarget.current_sell_price = sellPrice
+        self.tradeTarget.save()

starter.py

@@ -1,5 +1,7 @@
 # coding:utf-8
 import sys
+import csv
+import chardet
 
 import sfgrid_constants
 sys.stdout.reconfigure(encoding='utf-8')  # 设置标准输出编码为UTF-8
@@ -18,12 +20,15 @@ def startMarketData():
 def stopMarketData():
     ctrl.stopMarketData()
 
-def targets():
+def pool():
     ctrl.print_pool()
 
-def addTradeTarget(stock_code):
+def addTarget(stock_code):
     ctrl.add_trade_target(stock_code)
 
+def delTarget(index:int):
+    ctrl.del_trade_target(index)
+
 def accountInfo():
     ctrl.print_account_info()
 
@@ -39,19 +44,31 @@ def pauseTrade(index:int):
 def stockTradeCtrl(index: int):
     return ctrl.stock_trade_ctrl[ctrl.instrument_pool[index].stock_code]
 
+def importCsv(path:str):
+    with open(path, 'r', encoding='utf-8', errors='replace') as infile:
+        result = chardet.detect(infile)
+        print(result['encoding'])
+        # reader = csv.reader(infile)
+        # data = [row for row in reader]
+        # print(data)
+
+
 def help():
-    print("可用命令:")
+    print("基础指令:")
     print("  ===================================================")
     print("  startMarketData()           - 启动市场数据接收")
-    print("  stopMarketData()            - 停止市场数据接收")
+    print("  stopMarketData()            - 停止市场数据接收\n")
-    print("  addTradeTarget(stock_code)  - 添加交易标的")
+    print("  pool()                      - 打印标的池信息")
+    print("  addTarget(stock_code)       - 添加交易标的")
+    print("  delTarget(index)            - 删除交易标的\n")
     print("  accountInfo()               - 打印账户信息")
-    print("  positionInfo()              - 打印持仓信息")
+    print("  positionInfo()              - 打印持仓信息\n")
-    print("  targets()                   - 打印标的池信息")
+    print("  startTrade(index)           - 启动标的交易")
-    print("  startTrade(index)           - 启动标的交易线程")
+    print("  pauseTrade(index)           - 暂停标的交易")
-    print("  pauseTrade(index)           - 暂停标的交易线程")
+    print("  importCsv(path)             - 导入CSV文件")
-    print("  stockTradeCtrl(index)       - 获取标的交易控制器")
     print("  ===================================================")
+    print("内部指令:")
+    print("  stockTradeCtrl(index)       - 获取标的交易控制器")
     print("  ctrl                        - 访问控制器实例")
 
 if __name__ == '__main__':

strategy_db.py

@@ -16,13 +16,8 @@ class TradeTarget(BaseModel):
     grid_index = IntegerField()
     last_trade_price = FloatField()
     current_buy_price = FloatField()
+    current_buy_order_no = CharField(default='')
     current_sell_price = FloatField()
-    status = IntegerField(default=0)  # 0表示新建，1表示已建初始仓
+    current_sell_order_no = CharField(default='')
+    status = IntegerField(default=0)  # 0表示新标的，1表示已建初始仓，正常交易中
     enabled = BooleanField(default=False)  # 是否启动交易线程
-
-class TradeRecord(BaseModel):
-    stock_code = CharField()
-    trade_type = CharField()  # 'buy' 或 'sell'
-    price = FloatField()
-    volume = IntegerField()
-    trade_time = CharField()  # 可以存储为字符串格式的时间